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Home Away From Home? Safe Haven Effects and London House Prices

Badarinza, Cristian; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2013

Historical time-series data is short relative to the frequency of political and economic crises. This makes it difficult to use pure time-series methods to identify the impacts of safe haven demand on asset prices, in the face of confounding effects from a wide range of alternative drivers. We...

Persistent link: https://www.econbiz.de/10011084288

Increased Correlation in Bear markets: A Downside Risk Perspective

Campbell, Rachel; Koedijk, Kees; Kofman, Paul - C.E.P.R. Discussion Papers - 2002

A number of studies have provided evidence of increased correlation in global financial market returns during bear markets. Others, however, have shown that some of this evidence may have been biased. We derive an alternative estimator for implied correlation based on portfolio downside risk...

Persistent link: https://www.econbiz.de/10005124110

Conditional Risk Premia in Currency Markets and Other Asset Classes

Lettau, Martin; Maggiori, Matteo; Weber, Michael - C.E.P.R. Discussion Papers - 2013

The downside risk CAPM (DR-CAPM) can price the cross section of currency returns. The market-beta differential between high and low interest rate currencies is higher conditional on bad market returns, when the market price of risk is also high, than it is conditional on good market returns....

Persistent link: https://www.econbiz.de/10011083756

Limits to Arbitrage and Hedging: Evidence from Commodity Markets

Acharya, Viral V; Lochstoer, Lars; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2009

futures contracts. Their hedging demand is met by financial intermediaries who act as speculators, but are constrained in risk …-taking. Increases (decreases) in producers’ hedging demand (the risk-bearing capacity of speculators) increase the costs of hedging … 1980-2006, we show that producers’ hedging demand - proxied by their default risk - forecasts spot prices, futures prices …

Persistent link: https://www.econbiz.de/10005016244

Public and Private Learning from Prices, Strategic Substitutability and Complementarity, and Equilibrium Multiplicity

Manzano, Carolina; Vives, Xavier - C.E.P.R. Discussion Papers - 2010

We study a general static noisy rational expectations model, where investors have private information about asset payo¤s, with common and private components, and about their own exposure to an aggregate risk factor, and derive conditions for existence and uniqueness (or multiplicity) of...

Persistent link: https://www.econbiz.de/10008466347

Hedging and Financial Fragility in Fixed Exchange Rate Regimes

Burnside, Craig; Eichenbaum, Martin; Rebelo, Sérgio - C.E.P.R. Discussion Papers - 1999

Currency crises that coincide with banking crises tend to share four elements. First, governments provide guarantees to domestic and foreign bank creditors. Second, banks do not hedge their exchange rate risk. Third, there is a lending boom before the crises. Finally, when the currency/banking...

Persistent link: https://www.econbiz.de/10005666882

Market Solutions to the Problem of Stabilising Commodity Earnings

Hughes Hallett, Andrew; Ramanujam, Prathap - C.E.P.R. Discussion Papers - 1990

This paper examines and compares the effectiveness of hedging and buffer-stock strategies for stabilizing the revenues …

Persistent link: https://www.econbiz.de/10005791351

Regulating Insider Trading when Investment Matters

Medrano, Luis Angel; Vives, Xavier - C.E.P.R. Discussion Papers - 2002

We analyse the effects of insider trading on real investment and welfare, and the consequences of different regulatory policies: a disclose-or-abstain rule, ‘fair’ disclosure, laissez-faire and forbidding insider trades based on ‘precise’ information. We perform the analysis in a model...

Persistent link: https://www.econbiz.de/10005791877

Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy

Acharya, Viral V; Carpenter, Jennifer - C.E.P.R. Discussion Papers - 2002

stochastic. It then uses the results to explain the dynamics of hedging. Bankruptcy rules are important determinants of corporate … produce the same prices, they can have very different hedging implications. We show that empirical results on the relation …

Persistent link: https://www.econbiz.de/10005123555

On the Fundamentals of Self-Fulfilling Speculative Attacks

Burnside, Craig; Eichenbaum, Martin; Rebelo, Sérgio - C.E.P.R. Discussion Papers - 2000

This paper proposes a theory of twin banking-currency crises in which both fundamentals and self-fulfilling beliefs play crucial roles. Fundamentals determine whether crises will occur. Self-fulfilling beliefs determine when they occur. The fundamental that causes ‘twin crises’ is government...

Persistent link: https://www.econbiz.de/10005123877